Barbara Choroś-Tomczyka

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Spandauer Strasse 1

Berlin, D-10178

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

87

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

A Semiparametric Factor Model for CDO Surfaces Dynamics

Journal of Multivariate Analysis, September 2015
Number of pages: 13 Posted: 20 Feb 2016 Last Revised: 06 Jun 2016
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 27 (528,945)

Abstract:

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CDO, Curve trade, Dynamic factor model, semiparametric model, Surfaces dynamics

2.

Copula Dynamics in CDOs

SFB 649 Discussion Paper 2012-032
Number of pages: 25 Posted: 07 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ludger Overbeck
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Giessen
Downloads 22 (559,501)

Abstract:

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CDO, multivariate distributions, copula, implied correlations, Value-at- Risk

3.

CDO and HAC

SFB 649 Discussion Paper 2009-038
Number of pages: 40 Posted: 09 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 20 (572,264)

Abstract:

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CDO, CDS, multivariate distributions, Copulae, correlation smile, loss given default

4.

CDO Pricing with Copulae

SFB 649 Discussion Paper 2009-013
Number of pages: 12 Posted: 09 Jan 2017
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Downloads 18 (585,355)

Abstract:

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CDO, CDS, multifactor models, multivariate distributions, Copulae, correlation smile